Workshop on Financial Econometrics

April 23 - 24, 2010, The Fields Institute

Location: Fields Institute, Room 230

Description

Topics:

high frequency econometric and statistical methods for jump processes, volatility measurement, market microstructure noise
low frequency methods to estimate and calibrate derivative pricing models, likelihood-based inference

Note:
Distinguished Lecture Series -- Darrell Duffie
Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University
Dark Markets
April 21 --3:30 p.m.
April 22 --3:30 p.m.
April 23 --11:00 a.m.

Invited Speakers (talk title and abstracts)

Yacine Ait-Sahalia (Princeton)
Tim Bollerslev (Duke)
Marco Bonomo (Getulio Vargas Foundation)
Robert Engle (New York)
Jiangqing Fan (Princeton)
Kaddour Hadri (Queen's, Belfast Management School)
Lars Hansen (Chicago)
Stan Hurn (QUT Business)
Jean Jacod (Pierre et Marie Curie)
Robert Kimmel (Ohio State)
Suzanne Lee (Georgia Tech)
Haitao Li (Michigan)
Jia Li (Princeton)
Yingying Li (Science & Technology, HK)
Andrew W. Lo (MIT)
Gael Martin (Monash)
Vance Martin (Melbourne) Nour Meddahi (Le Centre Interuniversitaire de Calcul de Toulouse)
Joon Park (Indiana)
Eckhart Platen (Univ. of Technology Sydney)
Eric Renault (North Carolina, Chapel Hill)
Roberto Renò (Siena)
Paul Schneider (Warwick)
Osnat Stramer (Iowa)
George Tauchen (Duke)
Allan Timmerman (UC San Diego)
Giovanni Urga (Cass Business School, London)
Rossen Valkanov (UC San Diego)
Liuren Wu (Baruch College, New York)
Dacheng Xiu (Princeton)
Nakahiro Yoshida (Tokyo)
Jialin Yu (Columbia)
Zhibiao Zhao (Penn State)

Schedule

Friday, April 23rd, 2010
09:10 to 09:20	Welcome and Introductions
09:20 to 09:40	Nonlinear Filtering and Learning Dynamics Lars Hansen, University of Chicago
09:40 to 10:00	What is the Shape of the Risk-return Relation? Allan Timmermann, University of California at San Diego
10:00 to 10:20	Robust Measure of Time-Varying Skewness at Short and Long Horizons Rossen Valkanov, University of California at San Diego
10:20 to 10:40	Option Value of Cash Jialin Yu, Princeton University
10:40 to 11:00	Coffee Break
12:00 to 13:20	Lunch Break
13:20 to 13:40	Long Term Skewness and Systemic Risk Robert Engle, New York University
13:40 to 14:00	A Structural Autoregressive Conditional Duration Model Eric Renault, University of Warwick
14:00 to 14:20	Optimal Probabilistic Forecasts for Counts Gael Martin, Monash University
14:20 to 14:40	Coffee Break
14:40 to 15:00	Modeling Financial Contagion using Mutually Exciting Jump Processes Yacine Ait-Sahalia, Princeton University
15:00 to 15:20	Modelling Multivariate Interest Rates using Time-varying Copulas and Reducible Non-linear Stochastic Differential Equations Kaddour Hadri, Queen's University Belfast
15:20 to 15:40	A Multifrequency Theory of the Interest Rate Term Structure Liuren Wu, Baruch College, CUNY
15:40 to 16:00	Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads Haitao Li, University of Michigan
16:00 to 16:20	Coffee Break
16:20 to 16:40	Jumps and Information Flow in Financial Markets Suzanne Lee, Georgia Tech
16:40 to 17:00	Identifying Jumps in Financial Assets with a Comparison between Nonparametric Jump Tests Giovanni Urga, Bayes Business School
17:00 to 17:20	Studying the Leverage Effect Based on High-frequency Data Yingying Li, Hong Kong University of Science and Technology
17:20 to 17:40	Nonparametric Leverage Effects Roberto Reno, ESSEC Business School
17:40 to 18:30	Reception

Saturday, April 24th, 2010
09:20 to 09:40	Empirical Properties of a Well Diversified Global Stock Index Eckhard Platen, University of Technology Sydney
09:40 to 10:00	Generalized Disappointment Aversion, Volatility Long-run Risk and Asset Prices Marco Bonomo, Getulio Vargas Foundation
10:00 to 10:20	On Estimation of Risk Premia in Linear Factor Models Robert Kimmel, The Ohio State University
10:20 to 10:40	Coffee Break
10:40 to 11:00	Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model Joonha Park, University of Michigan
11:00 to 11:20	Quasi-maximum Likelihood Estimation of the Parameters of Multivariate Diffusion Stan Hurn, Queensland University of Technology
11:20 to 11:40	Bayesian Inference of Discretely Sampled Markov Processes with Closed-form Likelihood Expansions Osnat Stramer, University of Iowa
11:40 to 12:00	Transition Density Approximations for Multivariate Affine Jump Diffusion Processes Paul Schneider, USI Lugano
12:00 to 13:20	Lunch Break
13:20 to 13:40	WARNING: Physics Envy May Be Hazardous To Your Wealth Andrew Lo, MIT LFE and MIT Sloan Professor of Finance
13:40 to 14:00	Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection Jianqing Fan, Princeton University
14:00 to 14:20	Estimation of Jump Tails Viktor Todorov
14:20 to 14:40	Nonparametric Model Validations for Hidden Markov Models with Applications in Financial Econometrics Zhibiao Zhao, The Pennsylvania State University
14:40 to 15:00	Coffee Break
15:00 to 15:20	Testing for Functional Relationships between Log-price and Volatility Jean Jacod, University of Chicago
15:20 to 15:40	The Realized Laplace Transform of Volatility George Tauchen, Duke University
15:40 to 16:00	A Local-to-continuity Theory for the Pre-averaging Method Jia Li, Princeton University
16:00 to 16:20	Coffee Break
16:20 to 16:40	The Economic Value of Realized Volatility Nour Meddahi, University of Toulouse
16:40 to 17:00	Quasi-maximum Likelihood Estimation of Volatility with High Frequency Data Dacheng Xiu, University of Chicago

Organizing Committee

Yacine Ait-Sahalia - Princeton University

Jianqing Fan - Princeton University

Per Mykland - University of Chicago

Scheduled as part of

Thematic Program on Quantitative Finance: Foundations and Applications

The Fields Institute for
Research in Mathematical Sciences